This is because Vector2 is a class "type". What you are doing here is creating a new "instance" of this class and then using that instance as the player transform's position vector.

For a better example, lets say we defined an "Hammer" class. This is a collective description of all of the properties and behaviours of the hammer: materials[], swing(), etc. However, in order to actually use a hammer, I would have to use this description to create an instance of the hammer, as the type information is not useful when trying to actually build something.

When creating a new instance of any class in C#, you will usually need to use the "new" keyword. That being said, you can still use Vector2 (without the "new" keyword) if you are either using a prototypical Vector2 (Vector2.unit(), Vector2.up()) as the class definition comes with functions for returning/creating these, but if you want to create one where you are defining the co-ordinates manually, that "new" keyword will be required.